Continuous affine processes: transformations, Markov chains and life insurance

DOI10.1017/APR.2016.8MaRDI QIDQ5740696zbMATH OpenOpenAlexFDO

Authors Kristian Buchardt

Publication date 27 July 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL http://projecteuclid.org/euclid.aap/1465490756

zbMATH Keywords

credit riskstochastic mortalitystochastic interestmulti-state life insurance modelsdoubly stochastic process

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

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Cited in

(3)

• Tax- and expense-modified risk-minimization for insurance payment processes
• Dependent interest and transition rates in life insurance
• Forward transition rates

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